Until into the 70s, most references to placenames used either the English spelling (if the name was the same in both languages) or just the English name (if the name was different in both languages). This extended to road signs etc., even in strong Welsh-language areas.
Nowadays the situation is such that if the difference is purely a matter of spelling, then the Welsh spelling is invariably used. Where the the names are totally different, the English name tends to be used by non-Welsh speakers. The change in spelling could sometimes produce confusion for the unwary. For an explanation of the meaning of Welsh placenames, click here
Pronounciation (with compromises for non-Welsh speakers) Most people who know Wales would know that ll should be sounded like "thl" and dd like "th".
In practise, pronouncing ll as "l" is usual where it occurs at the beginning of a word, e.g. Llandaf, but not where it occurs mid-word e.g. Gelligaer or Llangollen. For the latter name, therefore, the usual non-Welsh pronounciation is to pronounce the first ll as in English, and the second as in Welsh.
As for dd, there is a wide-spread tendency (though not universal) to anglicize the well-known name of "Rhondda" but, in general, dd must be pronounced only as in Welsh e.g. Pontypridd, Gwynedd.
A common error is to pronounce f as in English, whereas this letter is like an English v. English f is given by the Welsh ff. Most English speakers can get Caernarfon right - they need to extend this idea to places like Tryfan and Pen-y-Fan.
An u should be like an English ee or short i. A town like Llandudno is so well-known to English speakers that it has come to be commonly pronounced "wrongly", but the Welsh pronounciation would be understandable.
Things can get a bit confusing in names like "Rhuddlan" where correct Welsh pronounciation is markedly different from how an unknowing English speaker might pronounce it.
w is a vowel - e.g. Llanwrst, Crwys.